9 research outputs found
Functional Limit Theorems for Multiparameter Fractional Brownian Motion
We prove a general functional limit theorem for multiparameter fractional
Brownian motion. The functional law of the iterated logarithm, functional
L\'{e}vy's modulus of continuity and many other results are its particular
cases. Applications to approximation theory are discussed.Comment: AMS-LaTeX, 23 page
On exceedances of high levels
The distribution of the excess process describing heights of extreme values can be approximated by the distribution of a Poisson cluster process. An estimate of the accuracy of such an approximation has been derived in, in terms of the Wasserstein distance. The paper presents a sharper estimate established in terms of the stronger total variation distance. We derive also a new bound to the accuracy of negative Binomial approximation to the distribution of the number of exceedances